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Predictable Return Distributions
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1002/for.1256openalex-snapshot
Modeling and Forecasting the Yield Curve by an Extended Nelson-Siegel Class of Models: A Quantile Autoregression Approach
inferredcites →https://doi.org/10.1002/for.2261openalex-snapshot
Quantile Double AR Time Series Models for Financial Returns
inferredcites →https://doi.org/10.1002/for.2312openalex-snapshot
A Quantile Regression Approach to Equity Premium Prediction
inferredcites →https://doi.org/10.1002/jae.824openalex-snapshot
An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns
inferredcites →https://doi.org/10.1016/0304-405x(84)90013-8openalex-snapshot
The information in the term structure
inferredcites →https://doi.org/10.1016/0304-405x(86)90010-3openalex-snapshot
Term premiums and default premiums in money markets
inferredcites →https://doi.org/10.1016/0304-405x(86)90070-xopenalex-snapshot
Predicting returns in the stock and bond markets
inferredcites →https://doi.org/10.1016/0304-405x(87)90045-6openalex-snapshot
Stock Returns and the Term Structure
inferredcites →https://doi.org/10.1016/0304-405x(89)90095-0openalex-snapshot
Business conditions and expected returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0304-4076(94)01652-gopenalex-snapshot
Estimating the asymptotic covariance matrix for quantile regression models a Monte Carlo study
inferredcites →https://doi.org/10.1016/b978-0-444-50897-3.50014-6openalex-snapshot
Measuring and Modeling Variation in the Risk-Return Trade-off
inferredcites →https://doi.org/10.1016/j.ijforecast.2011.02.018openalex-snapshot
Bond risk, bond return volatility, and the term structure of interest rates
inferredcites →https://doi.org/10.1016/j.iref.2012.10.002openalex-snapshot
Return distribution predictability and its implications for portfolio selection
inferredcites →https://doi.org/10.1016/j.jbankfin.2009.02.013openalex-snapshot
Causality in quantiles and dynamic stock return–volume relations
inferredcites →https://doi.org/10.1016/j.jedc.2006.12.004openalex-snapshot
Asset allocation under multivariate regime switching
inferredcites →https://doi.org/10.1016/j.jempfin.2005.11.001openalex-snapshot
Instability of return prediction models
inferredcites →https://doi.org/10.1016/j.jempfin.2010.01.003openalex-snapshot
The dividend–price ratio does predict dividend growth: International evidence
inferredcites →https://doi.org/10.1016/j.jempfin.2011.12.002openalex-snapshot
Stock Return Autocorrelations Revisited: A Quantile Regression Approach
inferredcites →https://doi.org/10.1016/j.jfineco.2012.06.005openalex-snapshot
‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables
inferredcites →https://doi.org/10.1016/s0378-3758(01)00277-4openalex-snapshot
On multivariate quantile regression
inferredcites →https://doi.org/10.1016/s0731-9053(03)17005-3openalex-snapshot
ESTIMATION, INFERENCE, AND SPECIFICATION TESTING FOR POSSIBLY MISSPECIFIED QUANTILE REGRESSION
inferredcites →https://doi.org/10.1017/s0022109000001782openalex-snapshot
Stock Market Uncertainty and the Stock-Bond Return Relation
inferredcites →https://doi.org/10.1080/01621459.1993.10476419openalex-snapshot
Sign Tests in Multidimension: Inference Based on the Geometry of the Data Cloud
inferredcites →https://doi.org/10.1080/01621459.1996.10476954openalex-snapshot
On a Geometric Notion of Quantiles for Multivariate Data
inferredcites →https://doi.org/10.1080/07350015.1995.10524599openalex-snapshot
Comparing Predictive Accuracy
inferredcites →https://doi.org/10.1080/13518470802042369openalex-snapshot
Return forecasts and optimal portfolio construction: a quantile regression approach
inferredcites →https://doi.org/10.1090/s0002-9939-96-03657-xopenalex-snapshot
On a transformation and re-transformation technique for constructing an affine equivariant multivariate median
inferredcites →https://doi.org/10.1093/jjfinec/nbh006openalex-snapshot
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation
inferredcites →https://doi.org/10.1093/rfs/10.3.579openalex-snapshot
Measuring the Predictable Variation in Stock and Bond Returns
inferredcites →https://doi.org/10.1093/rfs/15.4.1137openalex-snapshot
International Asset Allocation With Regime Shifts
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-snapshot
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1111/0022-1082.00247openalex-snapshot
Conditional Skewness in Asset Pricing Tests
inferredcites →https://doi.org/10.1111/1540-6261.00425openalex-snapshot
Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1989.tb02649.xopenalex-snapshot
Economic Significance of Predictable Variations in Stock Index Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-snapshot
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb04792.xopenalex-snapshot
Time-Varying Expected Returns in International Bond Markets
inferredcites →https://doi.org/10.1198/073500106000000332openalex-snapshot
Comparing Density Forecasts via Weighted Likelihood Ratio Tests
inferredcites →https://doi.org/10.2139/ssrn.1107185openalex-snapshot
Is the Distribution of Stock Returns Predictable?
inferredcites →https://doi.org/10.2139/ssrn.582581openalex-snapshot
An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns
inferredcites →https://doi.org/10.2139/ssrn.783986openalex-snapshot
Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables
inferredcites →https://doi.org/10.2139/ssrn.940652openalex-snapshot
Asset Allocation Under Multivariate Regime Switching
inferredcites →https://doi.org/10.2307/1912528openalex-snapshot
Robust Tests for Heteroscedasticity Based on Regression Quantiles
inferredcites →https://doi.org/10.3390/jrfm5010020openalex-snapshot
Stock Returns and Risk: Evidence from Quantile
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
inferred← citeshttps://doi.org/10.1002/for.70046openalex-snapshot
Leveraging an Integrated First and Second Moments Modeling Approach for Optimal Trading Strategies: Evidence From the Indian Pharma Sector in the Pre‐ and Post‐COVID‐19 Era
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Quantile information share under Markov regime‐switching
inferred← citeshttps://doi.org/10.1007/s11079-026-09852-wopenalex-snapshot
Machine Learning May not Outperform ARMAX in Forecasting Stock Returns
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Investor sentiment and bitcoin prices
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Rescue measures and stock return: evidence from the US and China stock markets
inferred← citeshttps://doi.org/10.1016/j.cnsns.2024.107856openalex-snapshot
Persistence of return distribution sequence in financial markets
inferred← citeshttps://doi.org/10.1016/j.econmod.2018.06.018openalex-snapshot
The predictive power of the yield spread for future economic expansions: Evidence from a new approach
inferred← citeshttps://doi.org/10.1016/j.eswa.2021.115416openalex-snapshot
Improving stock market volatility forecasts with complete subset linear and quantile HAR models
inferred← citeshttps://doi.org/10.1016/j.finmar.2022.100801openalex-snapshot
Equity premium prediction: The role of information from the options market
inferred← citeshttps://doi.org/10.1016/j.frl.2016.12.032openalex-snapshot
On the Short-Term Predictability of Stock Returns: A Quantile Boosting Approach
inferred← citeshttps://doi.org/10.1016/j.ijforecast.2019.01.005openalex-snapshot
Forecasting dynamic return distributions based on ordered binary choice
inferred← citeshttps://doi.org/10.1016/j.ijforecast.2022.04.004openalex-snapshot
Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models
inferred← citeshttps://doi.org/10.1016/j.iref.2018.12.002openalex-snapshot
Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index
inferred← citeshttps://doi.org/10.1016/j.iref.2021.01.008openalex-snapshot
Predictive role of online investor sentiment for cryptocurrency market: Evidence from happiness and fears
inferred← citeshttps://doi.org/10.1016/j.irfa.2017.03.001openalex-snapshot
Does mispricing, liquidity or third-party certification contribute to IPO downside risk?
inferred← citeshttps://doi.org/10.1016/j.jcomm.2024.100409openalex-snapshot
The asymmetric effect of G7 stock market volatility on predicting oil price volatility: Evidence from quantile autoregression model
inferred← citeshttps://doi.org/10.1016/j.jempfin.2021.05.001openalex-snapshot
Do financial variables help predict the conditional distribution of the market portfolio?
inferred← citeshttps://doi.org/10.1016/j.mulfin.2020.100628openalex-snapshot
Gold, platinum, and expected Bitcoin returns
inferred← citeshttps://doi.org/10.1016/j.najef.2015.10.015openalex-snapshot
A quantile-boosting approach to forecasting gold returns
inferred← citeshttps://doi.org/10.1016/j.physa.2019.123375openalex-snapshot
WITHDRAWN: Dynamic price discovery in the onshore and offshore Renminbi exchange rates
inferred← citeshttps://doi.org/10.1016/j.resourpol.2015.07.002openalex-snapshot
A real-time quantile-regression approach to forecasting gold returns under asymmetric loss
inferred← citeshttps://doi.org/10.1080/00036846.2018.1486993openalex-snapshot
Investor sentiment and the prediction of stock returns: a quantile regression approach
inferred← citeshttps://doi.org/10.1080/01605682.2018.1489354openalex-snapshot
Quantile Forecast Combinations in Realised Volatility Prediction
inferred← citeshttps://doi.org/10.1080/13504851.2016.1217304openalex-snapshot
CAPM and the changing distribution of historical returns
inferred← citeshttps://doi.org/10.1142/s2010495215500177openalex-snapshot
PREDICTING BY LEARNING: AN ADAPTIVE RATIONALE
inferred← citeshttps://doi.org/10.1515/jtse-2019-0021openalex-snapshot
Penalized Averaging of Parametric and Non-Parametric Quantile Forecasts
inferred← citeshttps://doi.org/10.2139/ssrn.3253806openalex-snapshot
What About Asymmetric Loss? A Real-Time Quantile-Regression Update on the AUD-Yen Exchange Rate
inferred← citeshttps://doi.org/10.2139/ssrn.4142035openalex-snapshot
Equity Premium Prediction: The Role of Informationfrom the Options Market
inferred← citeshttps://doi.org/10.3390/jrfm16100431openalex-snapshot
Network Activity and Ethereum Gas Prices
inferred← citeshttps://doi.org/10.48550/arxiv.2004.14108openalex-snapshot
Static and Dynamic Models for Multivariate Distribution Forecasts: Proper Scoring Rule Tests of Factor-Quantile vs. Multivariate GARCH Models
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